Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 9 7 7
Score 6.19 2.75 3.84
Market Cap (Millions USD) 274965.05 273540.37 271707.56
Predicted Beta 3.02 2.97 2.92
Idiosyncratic Volatility 4.93 5.02 5.02

Annualized return and volatility

SPY
Annualized Return 0.0419
Annualized Std Dev 0.1440
Annualized Sharpe (Rf=0%) 0.2912

Row

Daily Return Statistics

SPY
Observations 5113.0000
NAs 1.0000
Minimum -0.1652
Quartile 1 0.0000
Median 0.0000
Arithmetic Mean 0.0002
Geometric Mean 0.0002
Quartile 3 0.0000
Maximum 0.1091
SE Mean 0.0001
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0005
Variance 0.0001
Stdev 0.0091
Skewness -1.1848
Kurtosis 78.1746

Downside Risk

SPY
Semi Deviation 0.0064
Gain Deviation 0.0238
Loss Deviation 0.0314
Downside Deviation (MAR=210%) 0.0109
Downside Deviation (Rf=0%) 0.0064
Downside Deviation (0%) 0.0064
Maximum Drawdown 0.5220
Historical VaR (95%) 0.0000
Historical ES (95%) -0.0352
Modified VaR (95%) -0.0032
Modified ES (95%) -0.0032
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-02-01 2013-03-01 -0.5220 1364 322 1042
2000-09-01 2002-09-01 2007-05-01 -0.4631 1701 508 1193
2018-10-01 2018-12-01 2019-04-01 -0.1403 127 45 82
2015-06-01 2015-09-01 2016-07-01 -0.0924 280 67 213
2018-02-01 2018-03-01 2018-08-01 -0.0665 128 20 108

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec SPY
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 -1.5 9.4 -3.5 -1.6 1.7 -1.6 6.5 -5.7 -0.5 -7.5 -0.8 4.4 -1.8
2001 -9.5 -5.9 8.5 -0.6 -2.7 -1.0 -5.9 -8.5 1.3 7.8 0.2 -1.0 -17.4
2002 -1.8 3.0 -5.8 -0.6 -7.7 -7.9 0.7 -10.9 8.2 6.2 -6.1 -2.5 -24.0
2003 -1.3 -0.2 8.5 5.5 0.7 1.8 2.1 -1.5 5.4 1.1 4.5 2.0 31.9
2004 1.4 -1.7 -1.9 1.7 1.5 -3.2 0.2 0.6 1.3 4.1 2.5 -2.2 4.1
2005 2.1 -2.2 -1.9 3.2 -0.3 3.8 -0.9 0.4 -2.4 4.4 -0.7 2.4 7.9
2006 0.6 1.2 1.3 -3.0 -0.2 0.4 2.2 2.3 3.2 2.0 0.8 1.5 12.7
2007 -2.0 0.8 4.4 3.4 -1.9 -3.1 1.3 3.4 1.4 -3.9 -1.6 -6.0 -4.4
2008 -2.6 -1.4 4.8 1.5 -8.8 -0.9 1.5 -9.9 -16.5 -7.0 0.2 -8.2 -39.7
2009 -10.7 7.6 9.9 5.8 -0.6 7.5 3.7 3.1 -1.9 6.2 1.4 -3.6 29.7
2010 3.1 5.7 1.5 -7.9 -5.6 6.8 -4.5 8.4 3.8 0.0 6.1 2.3 19.8
2011 3.5 -0.4 2.9 -1.1 -2.2 -2.0 -5.5 -7.4 10.9 -0.4 0.4 4.6 2.1
2012 4.3 2.8 -0.7 -6.0 3.5 1.2 2.5 2.0 -1.8 0.6 0.2 5.1 14.0
2013 1.3 3.3 1.9 2.4 -1.9 5.2 -3.0 2.7 4.6 3.0 2.0 -3.5 19.0
2014 4.6 0.4 0.7 2.3 1.6 -1.3 3.9 -1.8 2.4 2.7 -0.8 -3.0 11.9
2015 5.6 -2.0 1.0 1.3 -2.5 2.3 -6.1 -3.1 8.5 0.4 -2.3 -5.0 -2.9
2016 -0.1 6.2 0.4 1.7 -0.2 3.6 0.1 -0.5 -1.7 3.7 1.4 1.8 17.5
2017 3.9 -0.3 1.0 1.4 0.1 2.1 0.3 1.5 2.4 3.1 0.7 5.6 23.9
2018 -3.6 -3.1 0.5 2.4 0.1 3.7 3.2 0.1 -6.9 1.9 -9.3 8.0 -4.2
2019 3.2 1.4 4.1 -6.4 6.4 1.5 -1.7 1.5 2.2 3.6 2.2 0.0 19.0

Row

Rolling Performance Chart

Snail Trail Chart